firds transparency system
TRANSCRIPT
18 September 2020 | ESMA65-8-5240
FIRDS Transparency System Instructions on download and use of full and delta transparency results
files
ESMA • CS 60747 – 201-203 Rue de Bercy • 75012 Paris • France • Tel. +33 (0) 1 58 36 43 21 • www.esma.europa.eu
2
Date: 18 September 2020
ESMA65-8-5240
Document control:
Version Date Author Comments
1 18/12/2017 ESMA
1.1 30/01/2018 ESMA Correction on period of application of results for non-
equity when reporting period is 1/Jan – 31/Dec year Y
1.2 20/03/2020 ESMA Insertion of information on ISIN level Systematic
Internalisers related calculation result records
XML Schema 1.1.0.zip update
1.3 25/08/2020 ESMA Changes applicable to the major maintenance
release planned Q4 2021 - Implementation of FULNCR
schema to provide sub-asset class information along
with the ISIN level non-equity result records and new
sub-class/asset-class level result files for non-equity
calculations:
- General description of the new files (par.4.) - Full files content (par. 7b., 8., 9., 10.) - Timing of file generation (par. 12.) - Schema set update (par. 13.c) - File naming convention (par.17., 18.) - Access to the published files (par.20.) - Use of the new result files (par. 36-39.)
Updated schema set: esma65-11-
1192_annex_firds_transparency_xml_schema_1.2.0.zip
Reference documents:
Ref Title Version Author Date
RTS1 COMMISSION DELEGATED
REGULATION (EU) 2017/587 of 14 July
2016 supplementing Regulation (EU) No
600/2014 of the European Parliament and
of the Council on markets in financial
instruments with regard to regulatory
technical standards on transparency
requirements for trading venues and
investment firms in respect of shares,
depositary receipts, exchange-traded
1 European
Commission /
ESMA
31/03/2017
ESMA • CS 60747 – 201-203 Rue de Bercy • 75012 Paris • France • Tel. +33 (0) 1 58 36 43 21 • www.esma.europa.eu
3
Date: 18 September 2020
ESMA65-8-5240
funds, certificates and other similar
financial instruments and on transaction
execution obligations in respect of certain
shares on a trading venue or by a
systematic internaliser
RTS2 COMMISSION DELEGATED
REGULATION (EU) 2017/583 of 14 July
2016 supplementing Regulation (EU) No
600/2014 of the European Parliament and
of the Council on markets in financial
instruments with regard to regulatory
technical standards on transparency
requirements for trading venues and
investment firms in respect of bonds,
structured finance products, emission
allowances and derivatives
1 European
Commission /
ESMA
31/03/2017
Reporting
Instructions
FIRDS Transparency System – Reporting
Instructions
1.1 ESMA 12/06/2017
2.0 ESMA 19/10/2018
2.1 ESMA 14/05/2020
4
Table of Contents
1 Introduction .................................................................................................................................... 5
1.1 Purpose and intended audience of this document ........................................................................ 5
1.2 Scope ............................................................................................................................................ 5
1.3 Abreviations ................................................................................................................................... 5
2 Description of the transparency calculation results files generated by the FIRDS system ........... 6
2.1 Full files / delta files ....................................................................................................................... 6
2.2 Equity transparency calculation results full and delta files ............................................................ 6
2.3 Non-Equity transparency calculation results full and delta files .................................................... 7
3 Instructions to download full and delta transparency results files from ESMA website .............. 12
3.1 Timing of generation.................................................................................................................... 12
3.2 XML Format ................................................................................................................................. 12
3.3 File naming conventions ............................................................................................................. 12
3.3.1 ISIN level calculation results files: ......................................................................................12
3.3.2 Sub-class/asset-class level calculation results files (only for non-equities): ......................13
3.4 Access to the files published (human interface) ......................................................................... 14
3.5 Access to the files published (machine-to-machine interface) .................................................... 15
4 Use of full and delta transparency calculation results files ......................................................... 17
4.1 Calculation results files for equity instruments (FULECR and DLTECR files) ............................ 17
4.2 Calculation results files for non-equity instruments (FULNCR and DLTNCR files) .................... 18
4.3 Calculation results files for non-equity sub-classes/asset-classes (FULNCR files) .................... 20
5
1 Introduction
1.1 Purpose and intended audience of this document
1. The purpose of this document is to provide details on the files containing transparency calculation results that ESMA will be publishing, how to access them, and how to use them.
2. The intended audience are the EU market participants and National Competent Authorities that need to make use of the results of transparency calculations for the purpose of MiFIR.
1.2 Scope
3. The scope of this document is the files published on ESMA website and containing transparency calculations results.
1.3 Abreviations
Acronym Definition
RM Regulated Market
MTF Multilateral Trading Facility
OTF Organised Trading Facility
SI Systematic Internaliser
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2 Description of the transparency calculation results files
generated by the FIRDS system
2.1 Full files / delta files
4. The system makes transparency calculation results available in the form of machine-readable files:
a. Full files:
i. ISIN level calculation result files: the equity (resp. non-equity) full files contain transparency calculation results for all equity (resp. non-equity) instruments for which the system has performed calculations. For each ISIN and Reporting Period, the file contains the latest version of the calculations performed by the system. Records older than 18 months are removed from the full files.
ii. Sub-class/Asset-class level calculation result files: related to non-equity sub-class transparency calculations and systematic internaliser related non-equity sub-class and asset-class calculation results for which the system performed calculations. For each sub-classes/asset-classes the files contains the latest version of the calculations for the Reporting period displayed in the file.
b. Delta files: the equity (resp. non-equity) delta files contain the transparency calculation results for which a change has occurred since the generation of the previous set of files, e.g. in the following situations
i. Calculations have been produced for a new instrument;
ii. Updated data has been received for the instrument;
iii. A non-equity instrument is getting closer to its maturity date, and as a result its time-to-maturity bucket changes and the instrument now belongs to a different non-equity sub-class;
iv. Calculation results have been updated following a specific action from a NCA User, or from an ESMA Data Manager.
5. Given the high volume of data, the files are split in several, in particular when they exceed 500,000 records, or based on the first letter of the CFI code in the case of the full files.
2.2 Equity transparency calculation results full and delta files
6. Equity transparency calculation results files contain, for each ISIN:
a. The MiFIR Identifier of the instrument1;
b. A flag indicating whether the instrument is liquid2;
c. The type of calculation (Methodology)3;
1 BizData/Pyld/Document/FinInstrmRptgEqtyTradgActvtyRslt/EqtyTrnsprncyData/FinInstrmClssfctn
2 BizData/Pyld/Document/FinInstrmRptgEqtyTradgActvtyRslt/EqtyTrnsprncyData/Lqdty
3 BizData/Pyld/Document/FinInstrmRptgEqtyTradgActvtyRslt/EqtyTrnsprncyData/Mthdlgy
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d. The average daily turnover4;
e. If the instrument is liquid, the average value of transactions5;
f. If the instrument is liquid, the Standard Market Size (SMS)6;
g. The average daily number of transactions7;
h. The total number of transactions executed8 - this field is populated only for the systematic internalisers calculation result records (where the calculation methodology is ‘SINT’)
i. The total volume of transactions executed9 - this field is populated only for the systematic internalisers calculation result records (where the calculation methodology is ‘SINT’)
j. The most relevant market in terms of liquidity for the purpose of MiFIR Art.4(1)(a)10
k. For shares and depositary receipts, the average daily number of transactions on the most relevant market in terms of liquidity11;
l. The Reporting Period describing the period of trading activity taken into account in order to derive the results.12
2.3 Non-Equity transparency calculation results full and delta files
7. Non-Equity transparency calculation results files publishing ISIN-level results will contain, for each ISIN:
a. The MiFIR Identifier of the instrument13
b. The sub-class information of the instrument14;
c. A flag indicating whether the instrument is liquid15;
d. The pre-trade Large-In-Scale threshold (LIS)16;
e. The post-trade Large-In-Scale threshold (LIS)17;
f. Pre-trade Size-Specific-to-the-Instrument threshold (SSTI)18;
4 BizData/Pyld/Document/FinInstrmRptgEqtyTradgActvtyRslt/EqtyTrnsprncyData/Sttstcs/AvrgDalyTrnvr
5 BizData/Pyld/Document/FinInstrmRptgEqtyTradgActvtyRslt/EqtyTrnsprncyData/Sttstcs/AvrgTxVal
6 BizData/Pyld/Document/FinInstrmRptgEqtyTradgActvtyRslt/EqtyTrnsprncyData/Sttstcs/StdMktSz
7 BizData/Pyld/Document/FinInstrmRptgEqtyTradgActvtyRslt/EqtyTrnsprncyData/Sttstcs/AvrgDalyNbOfTxs
8 BizData/Pyld/Document/FinInstrmRptgEqtyTradgActvtyRslt/EqtyTrnsprncyData/Sttstcs/TtlNbOfTxsExctd
9 BizData/Pyld/Document/FinInstrmRptgEqtyTradgActvtyRslt/EqtyTrnsprncyData/Sttstcs/TtlVolOfTxsExctd
10 BizData/Pyld/Document/FinInstrmRptgEqtyTradgActvtyRslt/EqtyTrnsprncyData/RlvntMkt/Id
11 BizData/Pyld/Document/FinInstrmRptgEqtyTradgActvtyRslt/EqtyTrnsprncyData/RlvntMkt/AvrgDalyNbOfTxs
12 BizData/Pyld/Document/FinInstrmRptgEqtyTradgActvtyRslt/EqtyTrnsprncyData/RptgPrd/FrDtToDt
13 BizData/Pyld/Document/FinInstrmRptgNonEqtyTradgActvtyRslt/NonEqtyTrnsprncyData/Id/IsinAndSubclass/FinInstrmClssfctn
14 BizData/Pyld/Document/FinInstrmRptgNonEqtyTradgActvtyRslt/NonEqtyTrnsprncyData/Id/IsinAndSubclass/DerivSubClss
15 BizData/Pyld/Document/FinInstrmRptgNonEqtyTradgActvtyRslt/NonEqtyTrnsprncyData/Lqdty
16 BizData/Pyld/Document/FinInstrmRptgNonEqtyTradgActvtyRslt/NonEqtyTrnsprncyData/PreTradLrgInScaleThrshld
17 BizData/Pyld/Document/FinInstrmRptgNonEqtyTradgActvtyRslt/NonEqtyTrnsprncyData/PstTradLrgInScaleThrshld
18 BizData/Pyld/Document/FinInstrmRptgNonEqtyTradgActvtyRslt/NonEqtyTrnsprncyData/PreTradInstrmSzSpcfcThrshld
8
g. Post-trade Size-Specific-to-the-Instrument threshold (SSTI)19;
h. The Reporting Period describing the period of trading activity taken into account in order to derive the results20.
i. The total number of transactions executed21 - this field is populated only for the systematic internalisers calculation result records ;
j. The total volume of transactions executed22 - this field is populated only for the systematic internalisers calculation result records;
8. Non-Equity transparency calculation results files publishing results for classes of financial instruments will contain, for each sub-class or asset class:
a. The MiFIR Identifier23
b. Information about the sub-class of financial instruments to which the results relate24 - this field is populated only for non-equity sub-asset class yearly calculation results and the non-equity sub-class systematic internalisers calculation results;
c. Information about the asset-class to which the results relate25;
d. A flag indicating whether the sub-class is liquid26 - this field is populated only for non-equity sub-asset class yearly calculation results;
e. The pre-trade Large-In-Scale threshold (LIS)27 applicable to the sub-class - this field is populated only for non-equity sub-asset class yearly calculation results;
f. The post-trade Large-In-Scale threshold (LIS)28 applicable to the sub-class - this field is populated only for non-equity sub-asset class yearly calculation results;
g. Pre-trade Size-Specific-to-the-Instrument threshold (SSTI)29 applicable to the sub-class - this field is populated only for non-equity sub-asset class yearly calculation results;
h. Post-trade Size-Specific-to-the-Instrument threshold (SSTI)30 applicable to the sub-class - this field is populated only for non-equity sub-asset class yearly calculation results;
i. The Reporting Period describing the period of trading activity taken into account in order to derive the results31.
19 BizData/Pyld/Document/FinInstrmRptgNonEqtyTradgActvtyRslt/NonEqtyTrnsprncyData/PstTradInstrmSzSpcfcThrshld
20 BizData/Pyld/Document/FinInstrmRptgNonEqtyTradgActvtyRslt/NonEqtyTrnsprncyData/RptgPrd/FrDtToDt
21 BizData/Pyld/Document/FinInstrmRptgEqtyTradgActvtyRslt/NonEqtyTrnsprncyData/Sttstcs/TtlNbOfTxsExctd
22 BizData/Pyld/Document/FinInstrmRptgEqtyTradgActvtyRslt/NonEqtyTrnsprncyData/Sttstcs/TtlVolOfTxsExctd
23 BizData/Pyld/Document/FinInstrmRptgNonEqtyTradgActvtyRslt/NonEqtyTrnsprncyData/Id/AsstClssAndSubclass/FinInstrmClssfctn
24 BizData/Pyld/Document/FinInstrmRptgNonEqtyTradgActvtyRslt/NonEqtyTrnsprncyData/Id/IAsstClssAndSubclass/DerivSubClss
25 BizData/Pyld/Document/FinInstrmRptgNonEqtyTradgActvtyRslt/NonEqtyTrnsprncyData/Id/AsstClssAndSubClss/AsstClss
26 BizData/Pyld/Document/FinInstrmRptgNonEqtyTradgActvtyRslt/NonEqtyTrnsprncyData/Lqdty
27 BizData/Pyld/Document/FinInstrmRptgNonEqtyTradgActvtyRslt/NonEqtyTrnsprncyData/PreTradLrgInScaleThrshld
28 BizData/Pyld/Document/FinInstrmRptgNonEqtyTradgActvtyRslt/NonEqtyTrnsprncyData/PstTradLrgInScaleThrshld
29 BizData/Pyld/Document/FinInstrmRptgNonEqtyTradgActvtyRslt/NonEqtyTrnsprncyData/PreTradInstrmSzSpcfcThrshld
30 BizData/Pyld/Document/FinInstrmRptgNonEqtyTradgActvtyRslt/NonEqtyTrnsprncyData/PstTradInstrmSzSpcfcThrshld
31 BizData/Pyld/Document/FinInstrmRptgNonEqtyTradgActvtyRslt/NonEqtyTrnsprncyData/RptgPrd/FrDtToDt
9
j. The total number of transactions executed32 - this field is populated only for the systematic internalisers calculation result records ;
k. The total volume of transactions executed33 - this field is populated only for the systematic internalisers calculation result records;
9. The sub-asset class information of the instruments contains the sub-asset class description34 (as per RTS2 Annex 2), the criteria names35 and the criteria values36 that were used for the determination of the sub-asset class. The segmentation criteria list is the following:
auth.045.001.03 XML schema SgmttnCrit/
CritNm code
Segmentation criteria definition
BSPD Base Product
NCCO Commodity Notional Currency
CTYP Contract Type
INC1 IRD Notional Currency 1
INC2 IRD Notional Currency 2
DCSL Delivery Cash Location
DTYP Delivery Settlement Type
EQUT Equity Underlying Type
FSPD Further Sub Product
IIND Inflation Index Code Name
IOUB Underlying Bond Issuer
IRTC Interest Rate Term Of Contract
ISIN ISIN
ISPT Sovereign And Public Type Issuer
CNC1 CFD Notional Currency 1
FNC1 FEX Notional Currency 1
CNC2 CFD Notional Currency 2
FNC2 FEX Notional Currency 2
NCSW Swaption Nortional Currency
PRMT Parameter
REOU Underlying Reference Entity
32 BizData/Pyld/Document/FinInstrmRptgEqtyTradgActvtyRslt/NonEqtyTrnsprncyData/Sttstcs/TtlNbOfTxsExctd
33 BizData/Pyld/Document/FinInstrmRptgEqtyTradgActvtyRslt/NonEqtyTrnsprncyData/Sttstcs/TtlVolOfTxsExctd
34 BizData/Pyld/Document/FinInstrmRptgNonEqtyTradgActvtyRslt/NonEqtyTrnsprncyData/Id/IsinAndSubclass/DerivSubClss/tDesc
35 BizData/Pyld/Document/FinInstrmRptgNonEqtyTradgActvtyRslt/NonEqtyTrnsprncyData/Id/IsinAndSubclass/SgmttnCrit/DerivSubClss/CritNm
36 BizData/Pyld/Document/FinInstrmRptgNonEqtyTradgActvtyRslt/NonEqtyTrnsprncyData/Id/IsinAndSubclass/DerivSubClss/SgmttnCrit/CritVal
10
auth.045.001.03 XML schema SgmttnCrit/
CritNm code
Segmentation criteria definition
NCCR Credit Notional Currency
SACL Sub Asset Class
SBPD Sub Product
SRTC Specific Route Time Charter Average
SSRF Size Specification Related To Freight Subtype
TOUB Underlying Bond Term
TTMB Time To Maturity Bucket
TTMO Option Time To Matury Bucket
TTMS Swap Time To Maturity Bucket
UINS* Underlying Instrument Identification
UIDX Underlying Index Identification
UIRT Underlying Interest Rate
UISC Underlying Index CDS Sub Class Identification
UTYP Underlying Type
* Regarding segmentation criteria UINS: in case the underlying is a basket, the segmentation criteria will be repeated in the message for each constituent of the basket (sorted in ascending alphanumerical order).
10. The asset-class information of the sub-classes includes an asset code of the following codelist:
ASCL Codes (auth.045.001.03 XML schema
AsstClssAndSubclass/AsstClss) Asset-Class Definition
IRDV Interest Rate Derivatives
BOND Bond
ETCS Exchange Traded Commodity
ETNS Exchange Traded Notes
COMD Commodity Derivatives
C10D C10 derivatives
EADV Derivatives on Emission Allowances
EQDV Equity Derivatives
FEXD FX Derivatives
EMAL Emission Allowances
11
ASCL Codes (auth.045.001.03 XML schema
AsstClssAndSubclass/AsstClss) Asset-Class Definition
SDRV Securitised derivatives
CRDV Credit Derivatives
CFDS Contract for Difference
SFPS Structured Finance
11. LIS and SSTI thresholds are expressed in EUR (under element <Amt>) except for emission allowances and derivatives on emission allowances, where they are expressed in tons of carbon dioxid (under element <Nb>).
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3 Instructions to download full and delta transparency results files
from ESMA website
3.1 Timing of generation
12. The files published by ESMA on its website are generated:
a. on a weekly basis for the Full Files containing ISIN-level results (every Saturday)
b. on a daily basis for the Delta Files containing ISIN-level results ; in case there is no change to publish on that day, no delta file is generated.
c. on a quarterly basis for the files containining sub-class/asset class level results of systematic internalisers related calculations;
d. on a yearly (or ad-hoc) basis for the yearly derivative sub-class level calculation results and yearly bond LIS / SSTI thresholds calculation results file ;
3.2 XML Format
13. The transparency calculation results files produced by FIRDS are structured as follows:
a. Encapsulation of a Business Application Header (BAH), and a Payload as per XML Schema head.003.001.01.xsd
b. The Business Application Header is generated as per XML Schema head.001.001.01_ESMAUG_1.0.0.xsd
c. The payload is generated as per XML Schema
auth.044.001.02_ESMAUG_DATECR_1.1.0.xsd for Equity calculation results full files (FULECR) and delta files (DLTECR) and
auth.045.001.03_ESMAUG_FULNCR_1.2.0.xsd for Non-Equity calculation results full files (FULNCR) and delta files (DLTNCR)
14. Link to XML Schema: https://www.esma.europa.eu/sites/default/files/library/esma65-11-1192_annex_firds_transparency_xml_schema_1.2.0.zip
3.3 File naming conventions
3.3.1 ISIN level calculation results files:
15. The full files will follow the following naming convention:
For Equities: FULECR_<Date>_<CFI 1st letter>_<Key1>of<Key2>.zip
For Non-Equities: FULNCR_<Date>_<CFI 1st letter>_<Key1>of<Key2>.zip
Where:
<Date> =YYYYMMDD.
<Key1> = The number of the file in the range produced for that day and that CFI 1st
letter.
<Key2> = The total number of files produced for that day and that CFI 1st letter.
Examples:
FULECR_20171104_E_1of1.zip
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FULNCR_20171104_D_1of1.zip
FULNCR_20171104_O_1of2.zip
FULNCR_20171104_O_2of2.zip
16. The delta file will follow the following naming convention.
For Equities: DLTECR_<Date>_<Key1>of<Key2>.zip
For Non-Equities: DLTNCR_<Date>_<Key1>of<Key2>.zip
Where:
<Date> =YYYYMMDD
<Key1> = The number of the file within the range produced for that day.
<Key2> = The total number of files produced for that day.
Examples:
DLTECR_20171106_01of01.zip
DLTNCR_20171106_01of01.zip
3.3.2 Sub-class/asset-class level calculation results files (only for non-equities):
17. Sub-class level calculation results full file will follow the following naming convention:
(Exists for non-equities yearly sub-class level calculation results only.)
FULNCR_ <date>_<Calculation type>_<Asset-class>_<Key1>of <Key2>.zip
Where:
<Date> =YYYYMMDD.
<Calculation type> = ‘NYAR’ in case sub-class level non-equity yearly transparency
calculation results
= ‘SISC’ in case sub-class level non-equity systematic internaliser
related calculation results
<Asset-Class> = asset-class information of the sub-classes as per defined in
paragraph 10.
<Key1> = The number of the file in the range produced for that day and that
Asset-class.
<Key2> = The total number of files produced for that day and that Asset-class.
Examples:
FULNCR_20210401_NYAR_IRD_1of1.zip
FULNCR_20210401_NYAR_EQD_1of2.zip
FULNCR_20210701_SISC_IRD_1of1.zip
FULNCR_20210701_SISC_EQD_1of2.zip
18. Asset-class level calculation results full file will follow the following naming convention:
(Exists for non-equities asset-class level systematic internaliser calculation results
only.)
14
FULNCR_ <date>_<Calculation type>_<Key1>of <Key2>.zip
Where:
<Date> =YYYYMMDD.
<Calculation type> = ‘SIAC’ in case asset- class level non-equity systematic
internaliser related calculation results;
<Key1> = The number of the file in the range produced for that day and that
Calculation type.
<Key2> = The total number of files produced for that day and that Calculation type.
Example:
FULNCR_20210701_SIAC_1of1.zip
3.4 Access to the files published (human interface)
19. Go to https://registers.esma.europa.eu/publication/ select register “Financial Instrument Transparency System” ; or go directly to
https://registers.esma.europa.eu/publication/searchRegister?core=esma_registers_fitrs_files
20. Use the Publication Date filter on the left hand side and click on “Filter list” to list all files published within the specified period. Additional filters are available to further refine the list ( File type: ISIN-level results Full file/ISIN-level results Delta file/Sub-class level yearly calculation results/Sub-class level SI calculation results/Asset-class level SI calculation results , Instruments type: Equity / Non-Equity instruments)
15
21. Click on the Download Link for any of the files returned, in order to download the corresponding file.
3.5 Access to the files published (machine-to-machine interface)
22. To support automated download of the files, it is possible to list the files published on a specific date by sending an HTTP request.
23. The following HTTP request will return the list of the files published by ESMA on 24 November 2017
https://registers.esma.europa.eu/solr/esma_registers_fitrs_files/select?q=*&fq=creation_date:%5B
2017-11-24T00:00:00Z+TO+2017-11-24T23:59:59Z%5D&wt=xml&indent=true&start=0&rows=100
24. The below table explains each aspect of the above query so that it can be modified as required to meet necessary usage requirements
Query component Description
q=* This is the general query part of the request and tells
the response to return all columns for a given result if
one exists
fq=creation_date:%5B2017-11-
24T00:00:00Z+TO+2017-11-
24T23:59:59Z%5D
fq means the filtered query and supports restricting
the data that is being search for. For the filtered
query here, we are restricting by date – note both the
latest date and earliest date are present and follow
the ISO date format. Change the date to look for files
from a different day or range of days
wt=xml Response type e.g. xml, json
indent=true Not necessary but assists to make the output more
readable
16
start=0 The result to start outputting from. 0 works best but
any number can be here and corresponds to which
set of records to start outputting from
rows=100 The number of results to return. Default is 10
25. The combination of start and row is used to assist cycling over the results when multiple results are returned e.g. more than 100. To read a secondary list (100+) change start to 100 and leave rows as 100. The number of records that the query returns is given by attributes of the resultsFound list.
26. The response is an XML document. The URL to the files are located under the following XPath:
/response/result/doc/str[@name='download_link']
27. Note that the number of returned files returned will usually be greater than 1 for a given date.
17
4 Use of full and delta transparency calculation results files
4.1 Calculation results files for equity instruments (FULECR and DLTECR files)
28. FULECR / DLTECR records with empty Reporting Period37 and tagged with “ESTM” methodology38 correspond to estimates; they apply from the day the instrument starts being traded, until six calendar weeks thereafter.
29. FULECR / DLTECR records with a Reporting Period39 of four calendar weeks and tagged with “FFWK” methodology correspond to calculations produced on the basis of the first four weeks of trading ; they apply from six calendar weeks after the day when the instrument started being traded, until the next yearly calculation40. The Reporting Period holds the first four weeks of trading of the instrument, as known by the system at the time of performing the calculations.
Date of first trade (first day of the Reporting Period)
Four-weeks calculation results apply until
First yearly calculation
From 3 December year (Y) to 2 December year (Y+1)
31 March year (Y+2) Performed in year (Y+2) based on year (Y+1) trading activity
30. FULECR / DLTECR records with a Reporting Period of a full year (Y) and tagged with “YEAR” methodology correspond to calculations produced on the basis of a year of trading ; they apply from 1 April of year (Y+1) until 31 March of year (Y+2).
31. FULECR / DLTECR records with a Reporting Period of 6-month and tagged with “SINT” methodology correspond to total number of transactions and total volume of trading over the last 6-months, used for the purpose of the SI regime for equity/equity-like instruments.
32. In summary, FULECR / DLTECR records can be in one of the following cases
Reporting period Type of calculation
Type of instrument
Period of application
Empty Estimates Equity / Equity-like
Liquidity and LIS/SMS thresholds apply from first trading date for six weeks
Calculation results may be updated e.g. when refined estimates are provided NCAs or ESMA.
Four calendar weeks Calculations based on first four weeks of trading
Equity / Equity-like
Liquidity and LIS/SMS
thresholds apply from six
calendar weeks after the first
37 No < RptgPrd> element under /BizData/Pyld/Document/FinInstrmRptgEqtyTradgActvtyRslt/EqtyTrnsprncyData
38 /BizData/Pyld/Document/FinInstrmRptgEqtyTradgActvtyRslt/EqtyTrnsprncyData/Mthdlgy
39 /BizData/Pyld/Document/FinInstrmRptgEqtyTradgActvtyRslt/EqtyTrnsprncyData/RptgPrd
40 For instruments which start trading before 2/Dec of year Y, the next yearly calculations will be the yearly calculations performed on year (Y+1) and applicable from 1 April (Y+1), whereas for instruments which start trading after 3/Dec of year Y, the next yearly calculations will be those performed on year (Y+2) and applicable from 1 April (Y+2)
18
Reporting period Type of calculation
Type of instrument
Period of application
trading date, until the next yearly
calculation as per table 24
1/Jan/Y – 30/Jun/Y or
1/Apr/Y – 30/Sep/Y or
1/Jul/Y – 31/Dec/Y or
1/Oct/Y – 31/Mar/(Y+1)
SI regime calculations
Equity / Equity-like
The total number of transactions and total volume of trading over the last 6-months, used for the purpose of the SI regime.
1/Jan/Y – 31/Dec/Y Yearly calculations
Equity / Equity-like
Liquidity and LIS/SMS thresholds apply from 1 April of year (Y+1) until 31 March of year (Y+2)
4.2 Calculation results files for non-equity instruments (FULNCR and DLTNCR
files)
33. For non-equity instruments other than bonds, the system publishes results which correspond to calculations produced on the basis of a year of trading. Reporting Period is a full year (Y), and liquidity results are provided along with LIS / SSTI thresholds. The results apply from 1 June of year (Y+1) until 31 May of year (Y+2).
Reporting Period Period of application of the results
1/Jan – 31/Dec year Y 1/June year (Y+1) – 31/May year (Y+2)
34. For bond instruments, two different processes with separate timings (quarterly vs yearly) are required for the liquidity assessment on one hand, and for the determination of LIS / SSTI thresholds on the other hand. As a consequence, liquidity and LIS / SSTI thresholds will be found in separate records
a. Results which Reporting Period is a full year (Y) correspond to calculations produced on the basis of a year of trading ; for bond instruments, they only hold LIS / SSTI threshold and the liquidity flag is empty. The LIS / SSTI thresholds apply from 1 June of year (Y+1) until 31 May of year (Y+2).
Reporting Period Period of application of the results
1/Jan – 31/Dec year Y 1/June year (Y+1) – 31/May year (Y+2)
b. Results which Reporting Period41 is a quarter correspond to quarterly liquidity assessment for bonds; they apply for three months from the sixteenth day of the second month of the following quarter, as per table below.
Reporting Period Period of application of the results
1/Jan – 31/March year Y 16/May – 15/Aug year Y
41 /BizData/Pyld/Document/FinInstrmRptgNonEqtyTradgActvtyRslt/NonEqtyTrnsprncyData/RptgPrd
19
1/Apr – 30/June year Y 16/Aug – 15/Nov year Y
1/July – 30/Sep year Y 16/Nov year Y – 15/Feb year (Y+1)
1/Oct – 31/Dec year Y 16/Feb year (Y+1) – 15/May year (Y+1)
c. Results with empty Reporting Period42 only contain the liquidity flag for new bond instruments ; they apply from the day the instrument starts being traded, until the next quarterly liquidity assessment for the bond, as per table below;
Date of first trade
Records with information on liquidity for new bonds apply until
First quarterly liquidity assessment
1/March – 31/May year Y
15/August year Y Quarterly liquidity calculations made on the basis of Reporting Period 1/April – 30/June year Y
1/June – 31/August year Y
15/November year Y Quarterly liquidity calculations made on the basis of Reporting Period 1/July – 30/September year Y
1/September – 30/November year Y
15/February year (Y+1)
Quarterly liquidity calculations made on the basis of Reporting Period 1/October – 31/December year Y
1/December year Y – end of February year (Y+1)
15/May year (Y+1) Quarterly liquidity calculations made on the basis of Reporting Period 1/January – 31/March year (Y+1)
d. Records with a Reporting Period of 6-month to total number of transactions and total volume of trading over the last 6-months, used for the purpose of the SI regime for non-equity instruments.
35. In summary, FULNCR / DLTNCR records can be in one of the following cases
Reporting period Liquidity flag
Type of instrument Period of application
1/Jan/Y – 31/Dec/Y True or false (not empty)
Non-equity instrument other than bond
Liquidity and LIS/SSTI thresholds apply from 1/June year (Y+1) – 31/May year (Y+2)
Calculation results may be updated over time e.g. when the instrument changes time-to-maturity bucket, in which case the
42 No <RptgPrd> element under /BizData/Pyld/Document/FinInstrmRptgNonEqtyTradgActvtyRslt/NonEqtyTrnsprncyData
20
new results need to be applied.
(empty) Bond LIS/SSTI thresholds apply from 1/June year (Y+1) – 31/May year (Y+2)
1/Jan/Y – 30/Jun/Y or
1/Apr/Y – 30/Sep/Y or
1/Jul/Y – 31/Dec/Y or
1/Oct/Y – 31/Mar/(Y+1)
(empty) Bond The total number of
transactions and total
volume of trading over the
last 6-months, used for the
purpose of the SI regime.
Quarter True or false (not empty)
Bond Liquidity flag applies from
sixteenth of a month for
three month as per table
28.b
Empty True or false (not empty)
Bond Liquidity flag applies from first trading date until sixteenth of a month as per table 28.c
4.3 Calculation results files for non-equity sub-classes/asset-classes (FULNCR
files)
36. For non-equity sub-classes the system publishes results which correspond to calculations produced on the basis of a year of trading. Reporting Period is a full year (Y), and the published results contains:
a. the LIS/SSTI thresholds for bonds;
b. the liquidity flag/LIS/SSTI thersholds for derivatives.
The results apply from 1 June of year (Y+1) until 31 May of year (Y+2) or as communicated in
case of an adhoc publication.
Reporting Period Period of application of the results
1/Jan – 31/Dec year Y 1/June year (Y+1) – 31/May year (Y+2)
or as communicated in case of an ad-hoc
publication;
37. Sub-class result records with a Reporting Period of 6-month to total number of transactions and total volume of trading over the last 6-months, used for the purpose of the SI regime for non-equity instruments.
38. Asset-class result records with a Reporting Period of 6-month to total number of transactions and total volume of trading over the last 6-months, used for the purpose of the SI regime for non-equity instruments.
21
39. In summary, records providing results at sub-class or asset-class levels can be in one of the following cases:
Reporting period Liquidity flag
Type of result record
Period of application
1/Jan/Y – 31/Dec/Y True or false Non-equity sub-class yearly transparency calculation result records
Liquidity (for derivatives only) and LIS/SSTI thresholds apply from 1/June year (Y+1) – 31/May year (Y+2)
or as communicated in case of an ad-hoc publication;
1/Jan/Y – 30/Jun/Y or
1/Apr/Y – 30/Sep/Y or
1/Jul/Y – 31/Dec/Y or
1/Oct/Y – 31/Mar/(Y+1)
(empty) Non-equity sub-class/asset-class level SI-related calculation result records
The total number of
transactions and total
volume of trading over the
last 6-months, used for the
purpose of the SI regime.